0
$\begingroup$

What are the exact components of VXN -- the volatility index for NASDAQ-100?

The CBOE page links to the document for VIX, which clarifies the exact set of front-month near-the-money SPX options used for VIX calculation and how weights are assigned (basically in the Black-Scholes-esq way). But I can't find any similar document for VXN. What is the formula for VXN?

$\endgroup$
  • $\begingroup$ "The same formula and methodology used to calculate the VIX Index is applied to the VXN". You look at all options of a given maturity and select all those that meet requirements (essentialy a non-zero bid price) (Page 6). And the formula is also the same. $\endgroup$ – noob2 Aug 24 at 18:45
  • $\begingroup$ @noob2: Do you mean NDX options are used? Did you fit VXN values to confirm or is there an official source confirming that? $\endgroup$ – Argyll Aug 24 at 18:52
  • $\begingroup$ I believe it is these options nasdaqtrader.com/content/phlx/NDXProductSheet.pdf but I have nver traded them or done the calculations. $\endgroup$ – noob2 Aug 24 at 19:00
  • $\begingroup$ @noob2: Thanks. I'll confirm it by fitting NDX option data to VXN value when I get a chance. In the meantime, if you come across or remember any official document confirming that VXN uses NDX options, could you share it here please? $\endgroup$ – Argyll Aug 24 at 19:17

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.